請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45400
標題: | 台積電月營收、股價與經濟因素關連性之研究 A Study on The Relationships among TSMC Monthly Sales, Stock Returns and Economic Factors |
作者: | Hui Hsu 徐慧 |
指導教授: | 謝德宗 |
關鍵字: | 單根檢定,Granger因果關係檢定,向量自我迴歸模型,衝擊反應分析, Unit Root Test,Granger Causality Test,Vector Autoregression Model,Impulse Response Analysis, |
出版年 : | 2009 |
學位: | 碩士 |
摘要: | 本研究探討台積電月營收、股價與經濟因素(B/B值、NASDAQ、匯率及M2餘額)的關聯性,研究方法包括單根檢定、Granger因果關係檢定、向量自我迴歸模型、衝擊反應分析。實證期間為2001年月6日至2008年8月。實證結果如下:
1、 與B/B值、NASDAQ綜合指數的互動關係中,B/B值領先台積電股價,台積電股價領先NASDAQ;而台積電月營收亦領先NASDAQ。 2、 與匯率的互動關係中,台積電股價領先匯率;而台積電月營收則與匯率無因果關係。 3、 與M2餘額的互動關係中,台積電股價領先M2餘額;而台積電月營收則與M2餘額呈現相互回饋的因果關係,亦即台積電月營收及台積電股價均領先M2餘額。 4、 台積電月營收與股價之間並無相互影響的因果關係存在,亦即不符合盈餘資訊內含臆設的說法。 5、 當體系出現重大衝擊時,由於電子產業的景氣循環快速,無論是國際因素B/B值、NASDAQ綜合指數或國內央行政策變動對台積電月營收及股價的衝擊反應通常於第二期達到最大,通常六個月之後幾乎沒有影響。 This research discuss the relationships among TSMC monthly sales, stock returns and Economic factors (B/B ratio, NASDAQ, Exchange rate, M2 balance), We use the quantitative methods such as Unit Root Test, Granger Causality Test, Vector Autoregression Model and Impulse Response Analysis. The research period covers from 2001/6 to 2008/8。Conclusions as follows: 1、Interaction among TSMC monthly sales, stock returns, B/B ratio and NASDAQ, B/B ratio leads TSMC stock returns, TSMC stock returns leads NASDAQ, TSMC monthly sales leads NASDAQ. 2、Interaction between TSMC monthly sales, stock returns and exchange rate, TSMC stock returns leads exchange rate, while there is no existence of causation between TSMC monthly sales and exchange rate. 3、Interaction between TSMC monthly sales, stock returns and M2 balance, TSMC stock returns leads M2 balance. There is a feedback relationship of causality between TSMC monthly sales and M2 balance. That is, both the stock returns and monthly sales lead M2 balance. 4、TSMC stock returns and monthly sales are not the causality of influencing each other, means there is no information content of earnings. 5、When the economic system faces significant impact, due to the short business cycle of electronic industry, no matter the international factor, for example, B/B ratio, NASDAQ or domestic factor like Central Bank's Policies, these impacts to TSMC monthly sales and stock returns usually reaches highest in 2Q, and nearly no influence after 6 months. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45400 |
全文授權: | 有償授權 |
顯示於系所單位: | 經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-98-1.pdf 目前未授權公開取用 | 539.96 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。